The effect of mis-specification on mean and selection between the Weibull and lognormal models

Xiang Jia, Saralees Nadarajah and Bo Guo

Physica A: Statistical Mechanics and its Applications, 2018, vol. 492, issue C, 1875-1891

Abstract: The lognormal and Weibull models are commonly used to analyse data. Although selection procedures have been extensively studied, it is possible that the lognormal model could be selected when the true model is Weibull or vice versa. As the mean is important in applications, we focus on the effect of mis-specification on mean. The effect on lognormal mean is first considered if the lognormal sample is wrongly fitted by a Weibull model. The maximum likelihood estimate (MLE) and quasi-MLE (QMLE) of lognormal mean are obtained based on lognormal and Weibull models. Then, the impact is evaluated by computing ratio of biases and ratio of mean squared errors (MSEs) between MLE and QMLE. For completeness, the theoretical results are demonstrated by simulation studies. Next, the effect of the reverse mis-specification on Weibull mean is discussed. It is found that the ratio of biases and the ratio of MSEs are independent of the location and scale parameters of the lognormal and Weibull models. The influence could be ignored if some special conditions hold. Finally, a model selection method is proposed by comparing ratios concerning biases and MSEs. We also present a published data to illustrate the study in this paper.

Keywords: Lognormal mean; Mis-specification analysis; Model selection; Quasi-MLE; Weibull mean (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:492:y:2018:i:c:p:1875-1891

DOI: 10.1016/j.physa.2017.11.104

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